SEARCH

SEARCH BY CITATION

Cited in:

CrossRef

This article has been cited by:

  1. 1
    Xiaoneng Zhu, Shahidur Rahman, A regime-switching Nelson–Siegel term structure model of the macroeconomy, Journal of Macroeconomics, 2015, 44, 1

    CrossRef

  2. 2
    Dan Saar, Yossi Yagil, Corporate yield curves as predictors of future economic and financial indicators, Applied Economics, 2015, 47, 19, 1997

    CrossRef

  3. 3
    Chotibhak Jotikasthira, Anh Le, Christian Lundblad, Why do term structures in different currencies co-move?, Journal of Financial Economics, 2015, 115, 1, 58

    CrossRef

  4. 4
    Donatien Hainaut, David B. Colwell, A structural model for credit risk with switching processes and synchronous jumps, The European Journal of Finance, 2014, 1

    CrossRef

  5. 5
    Şule Şahin, Andrew J.G. Cairns, Torsten Kleinow, A. David Wilkie, A yield-only model for the term structure of interest rates, Annals of Actuarial Science, 2014, 8, 01, 99

    CrossRef

  6. 6
    Hsiao-Wei Ho, Henry H. Huang, Yildiray Yildirim, Affine model of inflation-indexed derivatives and inflation risk premium, European Journal of Operational Research, 2014, 235, 1, 159

    CrossRef

  7. 7
    C. Heyerdahl-Larsen, Asset Prices and Real Exchange Rates with Deep Habits, Review of Financial Studies, 2014, 27, 11, 3280

    CrossRef

  8. 8
    A. Monfort, J.-P. Renne, Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks, Review of Finance, 2014, 18, 6, 2103

    CrossRef

  9. 9
    Kyu H. Kang, Estimation of state-space models with endogenous Markov regime-switching parameters, The Econometrics Journal, 2014, 17, 1
  10. 10
    Philipp Koziol, Inflation and interest rate derivatives for FX risk management: Implications for exporting firms under real wealth, The Quarterly Review of Economics and Finance, 2014, 54, 4, 459

    CrossRef

  11. 11
    Eddy Azoulay, Menachem Brenner, Yoram Landskroner, Roy Stein, Inflation risk premium implied by options, Journal of Economics and Business, 2014, 71, 90

    CrossRef

  12. 12
    M. Gillman, M. Kejak, M. Pako , Learning about Rare Disasters: Implications For Consumption and Asset Prices, Review of Finance, 2014,

    CrossRef

  13. 13
    Kameliya Filipova, Francesco Audrino, Enrico De Giorgi, Monetary policy regimes: Implications for the yield curve and bond pricing, Journal of Financial Economics, 2014, 113, 3, 427

    CrossRef

  14. 14
    B. Feunou, J.-S. Fontaine, Non-Markov Gaussian Term Structure Models: The Case of Inflation, Review of Finance, 2014, 18, 5, 1953

    CrossRef

  15. 15
    X. Zhu, Peso Problems and Term Structure Anomalies of Repo Rates, Review of Finance, 2014, 18, 3, 1183

    CrossRef

  16. 16
    C. Gourieroux, A. Monfort, F. Pegoraro, J.-P. Renne, Regime Switching and Bond Pricing, Journal of Financial Econometrics, 2014, 12, 2, 237

    CrossRef

  17. 17
    MATTHIAS FLECKENSTEIN, FRANCIS A. LONGSTAFF, HANNO LUSTIG, The TIPS-Treasury Bond Puzzle, The Journal of Finance, 2014, 69, 5
  18. 18
    Iryna Kaminska, A No-Arbitrage Structural Vector Autoregressive Model of the UK Yield Curve, Oxford Bulletin of Economics and Statistics, 2013, 75, 5
  19. 19
    J. Xiang, X. Zhu, A Regime-Switching Nelson-Siegel Term Structure Model and Interest Rate Forecasts, Journal of Financial Econometrics, 2013, 11, 3, 522

    CrossRef

  20. 20
    Ebru Yüksel, Kivilcim Metin-Ozcan, Ozan Hatipoglu, A survey on time-varying parameter Taylor rule: A model modified with interest rate pass-through, Economic Systems, 2013, 37, 1, 122

    CrossRef

  21. 21
    S. Guibaud, Y. Nosbusch, D. Vayanos, Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt, Review of Financial Studies, 2013, 26, 8, 1914

    CrossRef

  22. 22
    S. Chib, K. H. Kang, Change-Points in Affine Arbitrage-Free Term Structure Models, Journal of Financial Econometrics, 2013, 11, 2, 302

    CrossRef

  23. 23
    A. Monfort, J.-P. Renne, Default, Liquidity, and Crises: an Econometric Framework, Journal of Financial Econometrics, 2013, 11, 2, 221

    CrossRef

  24. 24
    Junko Koeda, Endogenous monetary policy shifts and the term structure: Evidence from Japanese government bond yields, Journal of the Japanese and International Economies, 2013, 29, 170

    CrossRef

  25. 25
    Vadim Khramov, Estimating Parameters of Short-Term Real Interest Rate Models, IMF Working Papers, 2013, 13, 212, 1

    CrossRef

  26. 26
    Du Du, General equilibrium pricing of currency and currency options, Journal of Financial Economics, 2013, 110, 3, 730

    CrossRef

  27. 27
    Maxim Ulrich, Inflation ambiguity and the term structure of U.S. Government bonds, Journal of Monetary Economics, 2013, 60, 2, 295

    CrossRef

  28. 28
    Gilbert Cette, Marielle de Jong, Market-implied inflation and growth rates adversely affected by the Brent, Journal of Asset Management, 2013, 14, 3, 133

    CrossRef

  29. 29
    Ruslan Bikbov, Mikhail Chernov, Monetary policy regimes and the term structure of interest rates, Journal of Econometrics, 2013, 174, 1, 27

    CrossRef

  30. 30
    Caroline Jardet, Alain Monfort, Fulvio Pegoraro, No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth, Journal of Banking & Finance, 2013, 37, 2, 389

    CrossRef

  31. 31
    Hwagyun Kim, Hail Park, Term structure dynamics with macro-factors using high frequency data, Journal of Empirical Finance, 2013, 22, 78

    CrossRef

  32. 32
    Olesya V Grishchenko, Jing-Zhi Huang, The Inflation Risk Premium:Evidence from the TIPS Market, The Journal of Fixed Income, 2013, 22, 4, 5

    CrossRef

  33. 33
    H. Lustig, S. Van Nieuwerburgh, A. Verdelhan, The Wealth-Consumption Ratio, Review of Asset Pricing Studies, 2013, 3, 1, 38

    CrossRef

  34. 34
    Gregory Duffee, 2013,

    CrossRef

  35. 35
    Gregory R. Duffee, 2013,

    CrossRef

  36. 36
    Modena Matteo, Lossani Marco, Borello Giuliana, Rethinking Valuation and Pricing Models, 2013,

    CrossRef

  37. 37
    Ricardo Gimeno, José Manuel Marqués, A market based approach to inflation expectations, risk premia and real interest rates, The Spanish Review of Financial Economics, 2012, 10, 1, 18

    CrossRef

  38. 38
    Martin M. Andreasen, An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia, European Economic Review, 2012, 56, 8, 1656

    CrossRef

  39. 39
    Stéphane Chrétien, Bounds on the autocorrelation of admissible stochastic discount factors, Journal of Banking & Finance, 2012, 36, 7, 1943

    CrossRef

  40. 40
    H. Chen, S. Joslin, Generalized Transform Analysis of Affine Processes and Applications in Finance, Review of Financial Studies, 2012, 25, 7, 2225

    CrossRef

  41. 41
    Peter Hördahl, Oreste Tristani, INFLATION RISK PREMIA IN THE TERM STRUCTURE OF INTEREST RATES, Journal of the European Economic Association, 2012, 10, 3
  42. 42
    Andrew Ang, Allan Timmermann, Regime Changes and Financial Markets, Annual Review of Financial Economics, 2012, 4, 1, 313

    CrossRef

  43. 43
    Mikhail Chernov, Philippe Mueller, The term structure of inflation expectations, Journal of Financial Economics, 2012, 106, 2, 367

    CrossRef

  44. 44
    Luis A. Gil-Alana, Antonio Moreno, Uncovering the US term premium: An alternative route, Journal of Banking & Finance, 2012, 36, 4, 1181

    CrossRef

  45. 45
    M. A. S. Joyce, I. Kaminska, P. Lildholdt, Understanding the Real Rate Conundrum: An Application of No-Arbitrage Models to the UK Real Yield Curve, Review of Finance, 2012, 16, 3, 837

    CrossRef

  46. 46
    Longzhen Fan, Shu Tian, Chu Zhang, Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system, Journal of Banking & Finance, 2012, 36, 1, 239

    CrossRef

  47. 47
    Haitham A. Al-Zoubi, A new look at the forward premium “puzzle”, Journal of Futures Markets, 2011, 31, 7
  48. 48
    Georges Dionne, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice, Jean-Guy Simonato, A reduced form model of default spreads with Markov-switching macroeconomic factors, Journal of Banking & Finance, 2011, 35, 8, 1984

    CrossRef

  49. 49
    Olesya V. Grishchenko, Asset pricing in the production economy subject to monetary shocks, Journal of Economics and Business, 2011, 63, 3, 187

    CrossRef

  50. 50
    H. Lustig, N. Roussanov, A. Verdelhan, Common Risk Factors in Currency Markets, Review of Financial Studies, 2011, 24, 11, 3731

    CrossRef

  51. 51
    Laura Coroneo, Ken Nyholm, Rositsa Vidova-Koleva, How arbitrage-free is the Nelson–Siegel model?, Journal of Empirical Finance, 2011, 18, 3, 393

    CrossRef

  52. 52
    Makram El-Shagi, Inflation expectations: Does the market beat econometric forecasts?, The North American Journal of Economics and Finance, 2011, 22, 3, 298

    CrossRef

  53. 53
    A. Ang, J. Boivin, S. Dong, R. Loo-Kung, Monetary Policy Shifts and the Term Structure, The Review of Economic Studies, 2011, 78, 2, 429

    CrossRef

  54. 54
    James D. Hamilton, Tatsuyoshi Okimoto, Sources of variation in holding returns for fed funds futures contracts, Journal of Futures Markets, 2011, 31, 3
  55. 55
    Massimo Guidolin, Missing Data Methods: Time-Series Methods and Applications, 2011,

    CrossRef

  56. 56
    ADRIEN VERDELHAN, A Habit-Based Explanation of the Exchange Rate Risk Premium, The Journal of Finance, 2010, 65, 1
  57. 57
    Longzhen Fan, Anders C. Johansson, China’s official rates and bond yields, Journal of Banking & Finance, 2010, 34, 5, 996

    CrossRef

  58. 58
    SULEYMAN BASAK, HONGJUN YAN, Equilibrium Asset Prices and Investor Behaviour in the Presence of Money Illusion, Review of Economic Studies, 2010, 77, 3, 914

    CrossRef

  59. 59
    Andreas Reschreiter, Indexed bonds and revisions of inflation expectations, Annals of Finance, 2010, 6, 4, 537

    CrossRef

  60. 60
    Geert Bekaert, Eric Engstrom, Inflation and the stock market: Understanding the “Fed Model”, Journal of Monetary Economics, 2010, 57, 3, 278

    CrossRef

  61. 61
    JENS H. E. CHRISTENSEN, JOSE A. LOPEZ, GLENN D. RUDEBUSCH, Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields, Journal of Money, Credit and Banking, 2010, 42,
  62. 62
    Gerard A. Moerman, Mathijs A. van Dijk, Inflation risk and international asset returns, Journal of Banking & Finance, 2010, 34, 4, 840

    CrossRef

  63. 63
    Geert Bekaert, Xiaozheng Wang, Inflation risk and the inflation risk premium, Economic Policy, 2010, 25, 64, 755

    CrossRef

  64. 64
    GEERT BEKAERT, SEONGHOON CHO, ANTONIO MORENO, New Keynesian Macroeconomics and the Term Structure, Journal of Money, Credit and Banking, 2010, 42, 1
  65. 65
    Ruslan Bikbov, Mikhail Chernov, No-arbitrage macroeconomic determinants of the yield curve, Journal of Econometrics, 2010, 159, 1, 166

    CrossRef

  66. 66
    Ren-Raw Chen, Bo Liu, Xiaolin Cheng, Pricing the term structure of inflation risk premia: Theory and evidence from TIPS, Journal of Empirical Finance, 2010, 17, 4, 702

    CrossRef

  67. 67
    Geert Bekaert, Eric Engstrom, Steven R. Grenadier, Stock and bond returns with Moody Investors, Journal of Empirical Finance, 2010, 17, 5, 867

    CrossRef

  68. 68
    L. Baele, G. Bekaert, K. Inghelbrecht, The Determinants of Stock and Bond Return Comovements, Review of Financial Studies, 2010, 23, 6, 2374

    CrossRef

  69. 69
    Monika Piazzesi, Handbook of Financial Econometrics: Tools and Techniques, 2010,

    CrossRef

  70. 70
    Luca Benati, Charles Goodhart, 2010,

    CrossRef

  71. 71
    Gianni De Nicoló, Iryna V. Ivaschenko, Global Liquidity, Risk Premiums and Growth Opportunities, IMF Working Papers, 2009, 09, 52, 1

    CrossRef

  72. 72
    Stig Vinther Møller, Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns, Journal of Empirical Finance, 2009, 16, 4, 525

    CrossRef

  73. 73
    Shaun K. Roache, Alexander P. Attie, Inflation Hedging for Long-Term Investors, IMF Working Papers, 2009, 09, 90, 1

    CrossRef

  74. 74
    Ralph S.J. Koijen, Otto Van Hemert, Stijn Van Nieuwerburgh, Mortgage timing, Journal of Financial Economics, 2009, 93, 2, 292

    CrossRef

  75. 75
    Geert Bekaert, Eric Engstrom, Yuhang Xing, Risk, uncertainty, and asset prices, Journal of Financial Economics, 2009, 91, 1, 59

    CrossRef

  76. 76
    Andrea Berardi, Term Structure, Inflation, and Real Activity, Journal of Financial and Quantitative Analysis, 2009, 44, 04, 987

    CrossRef

  77. 77
    Wolfgang Lemke, Theofanis Archontakis, Bond pricing when the short-term interest rate follows a threshold process, Quantitative Finance, 2008, 8, 8, 811

    CrossRef

  78. 78
    H. Bertholon, A. Monfort, F. Pegoraro, Econometric Asset Pricing Modelling, Journal of Financial Econometrics, 2008, 6, 4, 407

    CrossRef

  79. 79
    Theofanis Archontakis, Wolfgang Lemke, Threshold Dynamics of Short-term Interest Rates: Empirical Evidence and Implications for the Term Structure, Economic Notes, 2008, 37, 1